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Journal of Applied Mathematics
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Journal of Applied Mathematics
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2016
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Article
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Tab 2
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Research Article
Pricing Basket Options by Polynomial Approximations
Table 2
Average routine times for Monte Carlo, Taylor, and Chebyshev approaches on a PC using MATLAB language.
Monte Carlo
Taylor second approx.
Chebyshev,
2.048 sec.
0.0076 sec.
0.012 sec.